On The Positive Definiteness of Polarity Coincidence Correlation Coefficient Matrix
arXiv:0901.4648 · doi:10.1109/LSP.2007.911193
Abstract
Polarity coincidence correlator (PCC), when used to estimate the covariance matrix on an element-by-element basis, may not yield a positive semi-definite (PSD) estimate. Devlin et al. [1], claimed that element-wise PCC is not guaranteed to be PSD in dimensions p>3 for real signals. However, no justification or proof was available on this issue. In this letter, it is proved that for real signals with p<=3 and for complex signals with p<=2, a PSD estimate is guaranteed. Counterexamples are presented for higher dimensions which yield invalid covariance estimates.
IEEE Signal Processing Letters, Volume 15, pp. 73-76, 2008